%{
This folder generates the results related to the regressions in Tables 5-7
The file loads the merged_fm and requires ff_fact described below

FM_regressions is the main file that will generate the results.
%}

%{
merged_fm file needs to be prepared using the CRSP and Compustat data -
pseudo data is included to provide information about the way the file looks
like

ff_fact file is the Fama-French factors file downloaded from Kenneth
French webiste
%}

%{
The variables in the merged_fm file are described below. The variable definitions are included
in the paper. 

GVKEY: Compustat GVKEY
beta_lag_1q: Lagged CAPM Beta
en_ex: Entry-Exit dummy, used in Table 7
exchg: Exchange code
fill_bm_lag: Lagged Book-to-market ratio
fill_capx_at: Capital investment scaled by total assets
fill_hhi_lag: HHI measure
fill_lev_lag: Lagged leverage
fill_ol_lag: Lagged operating leverage
fill_op_pft_1_lag: Lagged operating profit
fill_size_lag: Lagged firm size (in logs)
fill_tobin_q_ltq_lag: Lagged Tobin's Q
high_slope_level: Dummy for firms with high slope, in Table 6
qtrret: Quarterly firm returns, computed from monthly returns - cumulative.

All data in  merged_fm file is at quarterly frequency.

ff_fact is used to capture the measure of boom-bust, using the market
portfolio.  Use monthly file here.  
The variables are
yyyymm: Four digit year and two digit month
Mkt_RF: Excess Market
RF: risk-free rate
Mkt: Market return, adding the risk free rate to excess market
=====================================================================

Matlab code files.

FM_regressions: This is the main code for FM regressions, loads data and
runs the regressions to generate the required tables.

runanalysis: This function is called by FM_regressions, which in turn calls
runfamamacbethreturns_quarterlyreturns_boombust.m and
runfamamacbethreturns_quarterlyreturns_slope.m

runfamamacbethreturns_quarterlyreturns_boombust: This function generates the
results presented in Panel B and C of Table 6.

runfamamacbethreturns_quarterlyreturns_slope: This function generates the
results prsented in Table 5 and Panel A of Table 6

All regression output is in folder output within the same folder. If the
folder is not present, the code will automatically create the folder.

The output is an excel file. For each FM regression specification, the code
outputs the estimated coefficient, t-statistic, and the standard error.
(one below the other)

%}

